策略相关性

Lesson Overview

In "Portfolio Strategies & Risk" → "多策略组合", this lesson "策略相关性" builds knowledge you can apply immediately.

策略相关性需基于同频、对齐且同计费口径的收益，不能用不同日期净值水平直接比较。缺数据不应无条件填0假装无波动。 对齐时间索引→统一净收益→记录缺失交集→算相关与样本数→另做冲击情景。 本课作业：A收益1/−1/1/−1，B2/−2/2/−2。相关是低还是高？为何两策略不算独立分散？

Core Concepts

These points align with the video walkthrough—take notes as you watch.

• ▸策略相关性需基于同频、对齐且同计费口径的收益，不能用不同日期净值水平直接比较。缺数据不应无条件填0假装无波动。
• ▸对齐时间索引→统一净收益→记录缺失交集→算相关与样本数→另做冲击情景。
• ▸本课作业：A收益1/−1/1/−1，B2/−2/2/−2。相关是低还是高？为何两策略不算独立分散？

Practical Application

After studying, complete the companion practice lesson to move from understanding to doing.

• ▸Follow along in Jupyter or VS Code
• ▸Log how parameter changes affect backtest results
• ▸Submit a reproducible analysis notebook

FAQ

• ▸Q: How does this lesson fit the course? A: Part of "多策略组合"—follow the curriculum order.
• ▸Q: What do I need? A: Demo account and notes; quant lessons need a Python environment.
• ▸Q: How do I know I've mastered it? A: Pass the quiz and explain three key points of 策略相关性 on your own.